Early in A Song of Ice and Fire book 1: A Game of Thrones, after Arya's direwolf Nymeria attacks Prince Joffrey we learn that

Arya had sent Nymeria away by throwing rocks at her.

As a result, when Cersei is looking for a Direwolf to "blame" for her son's injuries, Sansa's direwolf Lady is

'sentenced to death' and Eddard kills her.

Later on in the novel shortly after Jon takes his vow to join the Night's Watch, Jon is thinking of Sansa and Arya in King's Landing. In his thoughts, he thinks

The girls do not have that much, he thought. Their wolves might have kept them safe but Lady is dead and Nymeria is lost, they're all gone.

How does Jon know about this? There has not been mention of regular contact between Jon and his family, certainly at least not by raven. Even if there was some bit of contact, I doubt that sort of news would really be worth including on a small piece of paper.

Mormont has just recurved a raven informing him of Eddard’s fate. Whilst that note makes no mention of the girls, Jon is highborn and so it is likely he may have been receiving ravens on and off whilst at the Wall.
– TheLethalCarrotDec 6 '18 at 18:30

@TheLethalCarrot That happens later on I think.
– AmarthDec 6 '18 at 18:32

@Amarth Jon has just received the news of Eddard being jailed as a traitor before he thinks the quote above.
– TheLethalCarrotDec 6 '18 at 18:36

@TheLethalCarrot While that is a plausible explanation, there has been no indication that this is the case. Certainly seems like something Martin would have included in the details
– Zip Zap JDec 6 '18 at 18:49

1 Answer
1

Jon had received some letters at the Wall, it’s likely he found out that way

We find out that Jon had received a letter from Robb that told him of Bran waking up. As this is the case it could be likely that he had received others (of course he also gets letters telling him of Eddard and Robb going off to war).

Jeor Mormont, Lord Commander of the Night's Watch, was a gruff old man with an immense bald head and a shaggy grey beard. He had a raven on his arm, and he was feeding it kernels of corn. "I am told you can read." He shook the raven off, and it flapped its wings and flew to the window, where it sat watching as Mormont drew a roll of paper from his belt and handed it to Jon. "Corn," it muttered in a raucous voice. "Corn, corn."

Jon's finger traced the outline of the direwolf in the white wax of the broken seal. He recognized Robb's hand, but the letters seemed to blur and run as he tried to read them. He realized he was crying. And then, through the tears, he found the sense in the words, and raised his head. "He woke up," he said. "The gods gave him back."

Note that whilst it may or may not be something Robb would put in a letter, Arya does ask Yoren to take a letter to him. It is plausible she’s sent others.

“I'm a girl," Arya said, exasperated. If the old man was down from the Wall, he must have come by way of Winterfell. "Do you know my brothers?" she asked excitedly. "Robb and Bran are at Winterfell, and Jon's on the Wall. Jon Snow, he's in the Night's Watch too, you must know him, he has a direwolf, a white one with red eyes. Is Jon a ranger yet? I'm Arya Stark." The old man in his smelly black clothes was looking at her oddly, but Arya could not seem to stop talking. "When you ride back to the Wall, would you bring Jon a letter if I wrote one?" She wished Jon were here right now. He'd believe her about the dungeons and the fat man with the forked beard and the wizard in the steel cap.

Oh! Must have forgotten about that. It makes sense. But Robb sent him that letter because it was very important, right? I can't imagine Ned sending a letter to the Wall just to tell Jon what happened with the direwolves.
– Zip Zap JDec 6 '18 at 20:12

2

@ZipZapJ Arya asks Yoren to take a letter to Jon so she’s potentially sent others. It’s something she’d likely put in a letter.
– TheLethalCarrotDec 6 '18 at 20:27

Oh does she!? That would be a perfect explanation. I'm sure she does include that info in her letter...
– Zip Zap JDec 6 '18 at 21:15

1

@ZipZapJ well it wouldn’t have been in that later she asked Yoren to take but it would have been in a previous one assuming she did write it.
– TheLethalCarrotDec 6 '18 at 21:16

2

@ZipZapJ Yes, Ned wont send the letter, but Robb will. Robb cares about the direwolves more than Ned, so could have mentioned to Jon. Plus Jon could have heard rumours, lost Ghost's sense of Lady and put 2 and 2 together.
– ShantyDec 7 '18 at 11:45